The process of oxidative stress occurs all over the production chain of animals and food products. This review summarises insights obtained in different farm species (pigs, ruminants, poultry, and fishes) to underpin the most critical periods for the venue of oxidative stress, namely birth/hatching and weaning/start-feeding phase. Common responses between species are also unravelled in periods of high physiological demands when animals are facing dietary deficiencies in specific nutrients, suggesting that nutritional recommendations must consider the modulation of responses to oxidative stress for optimising production performance and quality of food products. These conditions concern challenges such as heat stress, social stress, and inflammation. The magnitude of the responses is partly dependent on the prior experience of the animals before the challenge, reinforcing the importance of nutrition and other management practices during early periods to promote the development of antioxidant reserves in the animal. When these practices also improved the performance and health of the animal, this further confirms the central role played by oxidative stress in physiologically and environmentally induced perturbations. Difficulties in interpreting responses to oxidative stress arise from the fact that the indicators are only partly shared between studies, and their modulations may also be challenge-specific. A consensus about the best indicators to assess pro-oxidative and antioxidant pathways is of huge demand to propose a synthetic index measurable in a non-invasive way and interpretable along the productive life of the animals.